Do pandemic news and government measures affect the returns from banking and financial sector stocks? Evidence from an emerging market

The data contains closing prices and log-returns of 37 banking and financial services stocks for the period January 2019 to January 2021. It also contains the closing prices and log-returns of three sectoral indices, viz., NIFTY PSU Bank Index components (12), NIFTY Private Bank Index components (10) & NIFTY Financial Services Index (15)). We collected the data from the NSE Website. The banks/firms with regular trading history and those having a sufficient number of trading days as per our estimation and event window have been included in the sample. We calculate the daily returns using the formula LN[(Ct-1)/Ct] in excel.本数据集收录了2019年1月至2021年1月期间37只银行及金融服务类股票的收盘价与对数收益率（log-returns）。此外，数据集还涵盖三类行业指数的收盘价与对数收益率，具体包括：NIFTY PSU银行指数成分股（12只）、NIFTY私有银行指数成分股（10只）以及NIFTY金融服务指数（15只）。本数据集的数据采集自NSE（印度国家证券交易所，National Stock Exchange of India）官方网站。样本纳入了具备常规交易历史，且满足本研究估计窗口与事件窗口设定的交易天数要求的银行与企业。我们在Excel中通过公式LN[(C_{t-1}/C_t)]计算每日收益率。